2 Answers
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No, the building Tyler was in was SUPPOSED to be blown up also, but the van that had the explosives was deactivated when Tyler - as the narrator - cut the cord (which then led to the fight scene in the parking garage before going upstairs)

I'm pretty sure that the building he was in and watching the destruction from wasn't supposed to blow up. The building he was in was under construction and was the best view of the buildings that were destroyed. If any of the financial institutions that were targeted to be destroyed didn't explode or didn't explode at the same time then it would have caused complications afterwards.
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Kevin HowellDec 26 '12 at 19:48

@KevinHowell, that wouldn't explain why there was so much explosives in the van in the first place. Keep in mind also that Tyler is an anarchist, and to some degrees a nihilist - for him, Project Mayhem would keep going even without him calling the shots, so blowing himself up wouldn't be something he would necessarily worry about.
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Barry HammerDec 27 '12 at 8:33

I'm saying that the building that they fought in (for control?) wasn't the same building that they ended up in. I guess I should submit my own answer instead of debating.
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Kevin HowellDec 27 '12 at 22:54

@KevinHowell, in the beginning of the movie right after the credits, the camera zooms directly downwards from where Tyler is holding the naarator at gunpoint to the parking garage with the van. That camera zoom suggests that they are in the same building; there is nothing there (or anywhere else in the dialog) to suggest they moved to another building to watch the 'show'.
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Barry HammerDec 28 '12 at 11:43

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Aw jeez Barry you're forcing me to have to watch Fight Club again. (Thank you.) I'll watch and if I'm wrong I'll delete mine and upvote yours. It'll be Monday before I'll be able to though. Also I can't link to your name for some reason so hope you see this.
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Kevin HowellDec 28 '12 at 14:52

(I would definitely checkout the helpful comment discussion that TylerShads commented with.) The answer is no the building they stand in and watch the destruction from isn't meant to be blown up and doesn't blow up. It does shake from the shock wave of the other buildings collapsing. The building they were standing in was chosen to view the perfect destruction of the other buildings. That's why the Project Mayhem members are up there with beers to celebrate and watch. Tyler Durden (Brad Pitt) did not actively try to kill anyone. In fact Project Mayhem went out of the way to insure that no one would be killed in those buildings. If Tyler Durden (Brad or Edward) didn't have any sense of self preservation then there wouldn't have been any fight for control. Tyler Durden (Brad Pitt) Honestly wanted to live and didn't kill himself ( Edward Norton) because of the chance that he might not live through it, among other reasons. Post Script: If I can find the image of the map of financial institutions that needed to be blown up I believe it would prove my answer. It's just really hard to find that screen shot.